uncondmean: Unconditional mean
In emilsjoerup/HARModel: Heterogeneous Autoregressive Models

uncondmean

R Documentation

Unconditional mean

Description

Extracts the unconditional mean of a HAR models and other objects

Usage

uncondmean(object)

Arguments

object

an object from the HARModel package

Value

Unconditional Mean

a double containing the unconditional mean of the model or simulation

Note

This is a method

Author(s)

Emil Sjoerup

Examples

set.seed(123)
#Simulate a HAR process:
HARSim = HARsimulate(iLength = 10000, 
vLags = c(1,5,22), vCoef = c(0., 0.36 , 0.28 , 0.28 ) 
, dSigma = 0.001)
#Estimate the HAR process:
HARModel = HARestimate(vRealizedMeasure = HARSim@Simulation,
vLags = c(1,5,22))
# uncondmean can be used on both Simulation and
# estimated models
uncondmean(HARSim)
uncondmean(HARModel)

emilsjoerup/HARModel documentation built on Jan. 24, 2023, 12:17 a.m.